News from Cass Business School

Cass academic wins research prize

Professor Lucio Sarno awarded best paper by Inquire UK

Monday, 15 November, 2010

Professor Lucio Sarno, Head of the Faculty of Finance and Professor of Finance, has been awarded the best paper prize for his paper on Spot Forward Volatility in Foreign Exchange by The Institute for Quantitative Investment Research (Inquire UK).

The paper, which he co-authored with Pasquale Della Corte and Ilias Tsiakas, investigates the empirical relation between spot and forward implied volatility in foreign exchange.  It found that forward implied volatility is a systematically biased predictor that overestimates movements in future spot implied volatility.

Inquire UK is a not-for-profit organisation dedicated to furthering research and understanding in the field of quantitative investment methodologies.  The prize is awarded annually by a committee of senior financial practitioners and academics.

Professor Sarno said:  We are very grateful and honoured to be awarded this prize.  It gives us great satisfaction that Inquire UK selected our research from among the many good papers presented last year.

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